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Stock Price Processes with Infinite Source Poisson Agents
fractional Brownian motion arbitrage stock price model stable L´ evy motion long-range dependence self-similarity
2011/7/5
We construct a general stochastic process and prove weak convergence results. It
is scaled in space and through the parameters of its distribution. We show that
our simplified scaling is equivalent ...
Superstatistical fluctuations in time series: Applications to share-price dynamics and turbulence
Superstatistical fluctuations dynamics turbulence
2010/10/29
We report a general technique to study a given experimental time series with superstatistics.
Crucial for the applicability of the superstatistics concept is the existence of a parameter β that fluct...
Liquidity Crisis, Granularity of the Order Book and Price Fluctuations
Liquidity Crisis Granularity of the Order Book Price Fluctuations
2010/10/29
We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored orders (granularity g) as...
Forecasting Model for Crude Oil Price Using Artificial Neural Networks and Commodity Futures Prices
Crude Oil Future Price ANN Prediction Models
2010/11/1
This paper presents a model based on multilayer feedforward neural network to forecast crude oil spot price direction in the short-term, up to three days ahead. A great deal
of attention was paid on ...
Price Impact
Price Impact
2010/10/29
Price impact refers to the correlation between an incoming order (to buy or to sell) and the subsequent price change. That a buy trade should push the price up seems at first sight obvious and is easi...
Improved and Developed Upper Bound of Price of Anarchy in Two Echelon Case
newsvendor problem price of anarchy convex optimization inequalities geometric interpretation
2010/11/1
Price of anarchy, the performance ratio, which could characterize the loss of efficiency of the distributed supply chain management compared with the integrated supply chain management
is discussed b...
State price density estimation via nonparametric mixtures
Black–Scholes equation European call options nonparametric mixture state price density
2010/11/2
We consider nonparametric estimation of the state price density encapsulated in option prices. Unlike usual density estimation problems,we only observe option prices and their corresponding strike pri...
On the Existence of Consistent Price Systems
Consistent pricing systems No-arbitrage Transaction costs Full support, Conditional
2010/11/3
In [8], a sufficient condition for the existence of consistent price systems (CPSs) was given. In this note, we give a weaker sufficient condition for a CPS to exist. We use this condition
to show th...
Efficient swaptions price in Hull-White one factor model
Efficient swaptions price factor model
2010/10/29
The Hull-White one factor model is used to price interest rate options. The parameters
of the model are often calibrated to simple liquid instruments, in particular European
swaptions. It is therefo...
Indifference price with general semimartingales
Indifference price - utility maximization – non locally bounded semimartingale –random endowment - incomplete market – Orlicz space – convex duality - convex risk measure
2010/11/1
For utility functions u finite valued on R, we prove a duality formula for utility maximization
with random endowment in general semimartingale incomplete markets. The main novelty of the paper is th...